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Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK

Record type: Article

Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.

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Citation

Hendry, David F. and Mizon, Grayham E. (1998) Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK Empirical Economics, 23, (3), pp. 267-294. (doi:10.1007/BF01294408).

More information

Published date: 1998
Keywords: exogeneity, causality, invariance, cointegration, co-breaking, impulse responses, money demand

Identifiers

Local EPrints ID: 32882
URI: http://eprints.soton.ac.uk/id/eprint/32882
ISSN: 0377-7332
PURE UUID: f68f4924-5742-4cac-9bfb-51a51acd2d96

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Date deposited: 25 Jul 2006
Last modified: 17 Jul 2017 15:54

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Contributors

Author: David F. Hendry
Author: Grayham E. Mizon

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